Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why value mean-reverts and growth trends.
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Chart of the Day
How the risk factor quilt looks different from the asset allocation quilt.
Value
- Is book value to blame for the decline of the value factor? (multifactorworld.com)
- Value still works just fine as a risk factor. (twocenturies.com)
Credit
- Credit spreads currently favor taking on more risk. (mailchi.mp)
- Some tactical credit strategies worth pursuing including 'yield curve timing.' (morningstar.com)
Fund management
- What is the story behind the 'total portfolio approach' investment philosophy? (mrzepczynski.blogspot.com)
- A study on what matters when it comes to endowment fund performance. (institutionalinvestor.com)
Research
- When measured by 'real annuity value' cash and fixed income are much riskier than equities. (elmfunds.com)
- Most investors can't handle the drawdowns and volatility of multi-factor strategies. (factorresearch.com)
- A look at some common trading rules using the S&P 500. (alphaarchitect.com)
- Has the overnight anomaly in the $SPY ETF finally disappeared? (priceactionlab.com)
- On the voting record of index fund managers. (evidenceinvestor.com)
